Data: Full set of risk factors - Candelon and Moura (2024, JFEC)

Full set of risk factors data used in Candelon and Moura (2024, JFEC)

Usage

data("RiskFacFull")

Format

matrix containing the full risk factors: (i) global unspanned factors (global economic activity and global inflation); (ii) domestic unspanned factors (economic activity and inflation); and (iii) domestic spanned factors (level, slope, and curvature). Economic system is formed by Brazil, China, Mexico and Uruguay. The data have monthly frequency and span the period from June/2004 to January/2020.

Source

Global unspanned factor

See data("GlobalMacro") for a detailed data description.

Domestic unspanned factor

See data("DomMacro") for a detailed data description.

Domestic spanned factor

First three principal components of each country set of bond yields. See data("Yields") for a detailed data description.

References

Candelon, B. and Moura, R. (2024) "A Multicountry Model of the Term Structures of Interest Rates with a GVAR". (Journal of Financial Econometrics)